Mathematics of Kalman-Bucy Filtering pp 100-153 | Cite as
The Kalman-Bucy Filter
Chapter
Abstract
Equation (3.1 or 3) mathematically describes the dynamic model in the Kalman-Bucy filter, whose output is a stochastic vector process to be estimated on the basis of noise-contaminated observations. To complete the Kalman-Bucy model for the estimation problem, we now define the observation process.
Keywords
Hilbert Space Orthogonal Projection Cauchy Sequence Uniform Continuity Observation Process
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© Springer-Verlag Berlin Heidelberg 1988